Some of it seems to come from people cargo-culting their knowledge of anonymous and first class functions, so they end up believing that the only way to pass a function around is to construct it anonymously.

In the particular case of constructing several similar functions that do essentially the same thing, lambda is a rather natural choice.

Being more explicit and less hacky can well be combined with staying true to functional style:

    from functools import partial
    
    mul = lambda x, y: x*y  # could use int.__mul__, too
    multipliers = [partial(mul, n) for n in range(5)]

It does the closure-capturing of n for you.

A function defined with def would work just the same there.

It would have a big ugly 'return' in it and be a few characters longer, but it would work the same, so I don't see what lambda brings to it.

Both def and lambda would fail identically in this context.